Do Climate Risks Affect Stock Markets? Quantile Connectedness Analysis for Major European Economies
POLITICKA EKONOMIE, vol.74, no.4, pp.751-781, 2026 (SSCI, Scopus)
- Publication Type: Article / Article
- Volume: 74 Issue: 4
- Publication Date: 2026
- Doi Number: 10.18267/j.polek.1516
- Journal Name: POLITICKA EKONOMIE
- Journal Indexes: Scopus, Social Sciences Citation Index (SSCI), ABI/INFORM, EconLit, Political Science Complete, Political Science Abstract (IPSA)
- Page Numbers: pp.751-781
- Anadolu University Affiliated: Yes
Abstract
This study examines the interconnectedness between climate-related risks and five major stock markets in Europe, which aims to become the first continent with a net-zero emission balance, using daily data from 16 April 2013 to 29 December 2023. We employ two methodologies: quantile connectedness to investigate the impact of climate risks on stock market volatility in different market circumstances and quantile time-frequency connectedness to examine the short-term and long-term spillover effects. Our results indicate that transition and physical risks have asymmetric effects on market indices, which are particularly pronounced during crisis periods. The study emphasizes that European markets are heterogeneous with respect to climate risks and that these differences create systemic risk diversification. Therefore, strategies to address climate risks need to be tailored to country specificities.